Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0079 |
| Annualized Std Dev | 0.2690 |
| Annualized Sharpe (Rf=0%) | -0.0293 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3181.0000 |
| NAs | 1.0000 |
| Minimum | -0.1853 |
| Quartile 1 | -0.0057 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1457 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0169 |
| Skewness | -0.3838 |
| Kurtosis | 18.9505 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0123 |
| Gain Deviation | 0.0130 |
| Loss Deviation | 0.0144 |
| Downside Deviation (MAR=210%) | 0.0165 |
| Downside Deviation (Rf=0%) | 0.0122 |
| Downside Deviation (0%) | 0.0122 |
| Maximum Drawdown | 0.7046 |
| Historical VaR (95%) | -0.0226 |
| Historical ES (95%) | -0.0414 |
| Modified VaR (95%) | -0.0231 |
| Modified ES (95%) | -0.0231 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-19 | 2009-03-09 | 2020-02-12 | -0.7046 | 2899 | 172 | 2727 |
| 2020-02-24 | 2020-03-23 | NA | -0.5066 | 272 | 21 | NA |
| 2020-02-18 | 2020-02-19 | 2020-02-21 | -0.0131 | 4 | 2 | 2 |
| 2008-05-13 | 2008-05-13 | 2008-05-14 | -0.0018 | 2 | 1 | 1 |
| 2008-05-15 | 2008-05-15 | 2008-05-16 | -0.0010 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | 0.5 | -2 | -1.1 | 1.2 | -0.7 | 4.6 | -11.1 | 1.5 | -7.6 |
| 2009 | -3.4 | -0.2 | 3.8 | -0.7 | 4.9 | -3 | -1.2 | -3.2 | -3.7 | -2.3 | 5.1 | 0.5 | -3.8 |
| 2010 | 1.5 | 1.2 | 0.4 | -1.6 | -1.9 | 0.5 | 0 | 2.9 | 1.1 | 0.7 | 1.6 | 0.5 | 7 |
| 2011 | 1 | -1.7 | 0.6 | -0.2 | -2.2 | 1.4 | -0.7 | -1.4 | -1.8 | -2.6 | -0.4 | 0.1 | -7.6 |
| 2012 | 1.4 | 0.5 | 1.5 | 0.7 | -2.3 | 2.8 | 0.1 | 0.8 | -0.5 | 0.6 | 0.2 | 0.5 | 6.3 |
| 2013 | 0.3 | 0.6 | -1.1 | -0.3 | -1.5 | -0.3 | 0.1 | -0.4 | 1 | 0.3 | -0.4 | -0.1 | -1.8 |
| 2014 | -0.5 | 0.5 | 0.2 | 0.1 | 0.7 | 0.6 | -0.2 | 0.2 | -0.3 | 2.5 | -0.5 | -1.2 | 2 |
| 2015 | -1.8 | 0.1 | 0.3 | 0.3 | -0.1 | 0.7 | 1 | -2.9 | 0.3 | -0.1 | 1.6 | -1.4 | -2.1 |
| 2016 | 1.1 | 2.8 | -0.9 | -0.8 | -0.3 | 0.7 | -0.1 | -0.3 | -0.1 | -0.8 | -1.3 | 1.2 | 1.1 |
| 2017 | -0.7 | 0.2 | 0.6 | 0.3 | 0.8 | 0.1 | 0.8 | -0.3 | 0.6 | 0.6 | -0.1 | -0.1 | 2.8 |
| 2018 | -1.2 | -1.1 | 0.8 | 0.7 | 0.9 | 0.5 | 0 | 0.1 | -0.5 | 0.4 | 0.4 | -0.7 | 0.2 |
| 2019 | -0.7 | 0 | 0.2 | -0.3 | 0.4 | -0.1 | -0.7 | -0.4 | -1 | 0.5 | -0.6 | 0.9 | -1.7 |
| 2020 | -1.5 | -4.2 | -8.3 | -4.9 | 2.8 | 1.6 | -1 | -1 | 2.5 | -0.9 | 1.9 | 0.6 | -12.3 |
| 2021 | 1.7 | 0.8 | -1.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-05-09 48.6 SPY 139. -0.0019 -0.0184 0.0212 0.0438 -0.0714 0.179 0.502 GLD 87.4 0.0021 0.0336
2 2008-05-12 48.9 SPY 140. 0.0112 -0.0026 0.0531 0.0502 -0.0689 0.205 0.499 GLD 87.0 -0.0049 0.0083
3 2008-05-13 48.8 SPY 140. 0.0001 -0.0111 0.0568 0.0407 -0.0668 0.198 0.481 GLD 85.4 -0.0184 -0.0143
4 2008-05-14 49.5 SPY 141. 0.0021 0.009 0.0565 0.0323 -0.0651 0.214 0.486 GLD 85.2 -0.0022 -0.0072
5 2008-05-15 49.4 SPY 143. 0.0125 0.0242 0.0415 0.0544 -0.0598 0.232 0.508 GLD 87 0.0211 -0.0028
6 2008-05-16 49.8 SPY 143. 0.0009 0.0271 0.0409 0.0556 -0.0571 0.221 0.500 GLD 89.1 0.0241 0.0192
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
